Pengaruh min effect terhadap return saham di pasar modal Indonesia

Agustina, Agustina (2018) Pengaruh min effect terhadap return saham di pasar modal Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

Referring to a recent study conducted by Aziz & Ansari (2017) regarding the relationship of MIN effect on the excess returns in the Indian Capital Market, the authors conducted a similar study to determine the relationship of MIN effects on the following month stock return of the Market Indonesian Capital during the period January 2005 – June 2016. There are two empirical models that are used in this study. The first ones, CAPM and Fama French 3 Factor, where MIN is used as a variable of portfolio formation. These models are used to analyze the relationship of abnormal returns of equally weighted and value weighted of MIN portfolio with excess return on the next month. The result shows positive and significant relationship between alpha CAPM & Fama French 3 Factors and excess return. The second model is Fama Macbeth where MIN is used as a variable independent. This model is used to analyze the relationship between excess return with MIN and other control variables. The result shows positive intercept but insignificant. Based on the results of the regression tests that have been performed, it can be concluded that MIN has a positive effect on the return of the following month in the Indonesia capital market based on alpha of CAPM and Fama French 3 Factors. / Mengacu pada penelitian sebelumnya yang dilakukan oleh Aziz & Ansari (2017) mengenai pengaruh MIN effect (tingkat pengembalian saham terendah) terhadap excess return di Pasar Modal India, penulis melakukan penelitian ini untuk mengetahui pengaruh MIN effect terhadap excess return saham bulan berikutnya atas saham-saham yang terdaftar di Pasar Modal Indonesia selama periode Januari 2005 – Juni 2016. Dalam penelitian ini, penulis menggunakan dua model empiris. Model pertama adalah CAPM dan Fama French 3 Faktor dimana MIN digunakan sebagai variable pembentukan portfolio. Model ini digunakan untuk menganalisa hubungan abnormal return dari portfolio MIN rata-rata tertimbang (value weighted) maupun sama bobot (equally weighted) dengan excess return bulan berikutnya. Hasil dari regresi menunjukkan alpha CAPM dan Fama French 3 Faktor yang positif dan signifikan secara statistik. Model kedua adalah Fama Macbeth, dimana MIN digunakan sebagai variable independen. Model ini digunakan untuk menganalisa hubungan excess return dengan MIN dan beberapa control variables. Hasil koefisien dari model Fama Macbeth menunjukkan hubungan positif tetapi tidak signifikan. Berdasarkan hasil regresi yang telah dilakukan dapat disimpulkan bahwa MIN berpengaruh positif terhadap return bulan berikutnya di pasar modal Indonesia berdasarkan alpha CAPM dan Fama French 3 Faktor.

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